SPDR Portfolio Value At Risk
| SPGM ETF | | | USD 82.14 0.61 0.75% |
Value At Risk (or VAR) is a statistical technique used to measure the level of financial risk of investment instrument over a specific time frame. It is a widely used measure of the risk of loss on a specific investing instrument. Below is SPDR Portfolio's current Value At Risk with peer comparisons and related risk metrics.
Current Value At Risk Value
At
-1.91, SPDR Portfolio exhibits the estimated maximum daily loss at the given confidence level in Value At Risk. The relatively contained VaR suggests limited tail risk for SPDR Portfolio under normal conditions.
Value At Risk | = | ER[a] x N | + | (Z-SCORE x STD x SQRT (N)) |
| = | -1.91 | |
| ER[a] | = | Expected return on investing in SPDR Portfolio |
| STD | = | Standard Deviation of SPDR Portfolio |
| N | = | Number of points for the period |
| Z-SCORE | = | Number of standard deviations above or below the mean |
Value At Risk Peers Comparison
SPDR Portfolio's Value At Risk of -1.9078 falls below the -1.7 peer average. Values range from -2.4264 (Vanguard Russell 2000) to 0.0 (), with tight clustering across the group. SPDR Portfolio carries lower tail risk than the peer average at the given confidence level.
Value At Risk Relative To Other Indicators
The chart below plots Value At Risk against Maximum Drawdown for SPDR Portfolio and its peers. Each point represents one equity — position along the horizontal axis shows Value At Risk while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
Compare SPDR Portfolio to PeersMethodology, Assumptions & Data Sources
SPDR Portfolio has a current Value At Risk reading of -1.91. The Value At Risk for SPDR Portfolio is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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